The Maximum Entropy Distribution for Stochastically Ordered Random Variables with Fixed Marginals

Nicholas Kiefer ()

Working Papers from Cornell University, Center for Analytic Economics

Abstract: Stochastically ordered random variables with given marginal distributions are combined into a joint distribution preserving the ordering and the marginals using a maximum entropy formulation. A closed-form expression is obtained. An application is in default estimation for different portfolio segments, where priors on the individual default probabilities are available and the stochastic ordering is agreeable to separate experts. The ME formulation allows an efficiency improvement over separate analyses.

Date: 2009-01
New Economics Papers: this item is included in nep-ecm
References: Add references at CitEc
Citations:

Downloads: (external link)
https://cae.economics.cornell.edu/09-01.pdf

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ecl:corcae:09-01

Access Statistics for this paper

More papers in Working Papers from Cornell University, Center for Analytic Economics Contact information at EDIRC.
Bibliographic data for series maintained by ().